Marc Henrard - Multi-curve framework

Since 2007, a new framework has become the standard for interest rate derivative pricing: the multi-curve framework (also called multiple curve). Another market reality has gained more importance: the collateralization of interbank trades. Even if the frameworks for multi-curves and collateral are nowadays relatively standard, their details and the far-reaching impacts of seemingly small changes are not always fully understood. Over the past few years, I've written several papers on these frameworks and published a book . I have also been one of the architects of a very flexible and efficient open source implementation of those frameworks. It can be found at http://strata.opengamma.io/ Writing technical papers and the code is not an end in itself, as people not only want to know the minutia of the associated mathematics and read the detailed code, but they also want to see the big picture, how it is used in practice, see examples in spreadsheet format, understand what are the i...

The multi-curve framework book is now the #1 Amazon bestseller category Business, Finance & Law > Professional Finance > Interest

Golf is multi-curve : draw, fade, breaking puts, good and bad bounces, back spin, slice, hook, etc. As a lot of you know, I'm a keen golfer. When I'm not dreaming the solution to all problems about multi-curve (see page xii of the book for more on that), I'm dreaming about birdies (eagles will be for next year :) ). I have ordered some swag golf balls with the book title as logo (see picture below). Obviously those balls are for grab. If you are a reader of the multi-curve book, want to play a round of golf, just let me know. I will be happy to offer a multi-curve ball (Pro V1x - 2014) to any reader I meet on the tee. When I'm not writing or coding about the multi-curve framework, I can be found on different courses around London and Brussels; I will be glad to discover new ones. Don't hesitate to challenge me for a round. Golf balls with Multi-curve Framework logo resting on a Multi-curve Framework book.

This is an important and much needed book looking at multiple interest rate curves, including collateralization. The subject is introduced motivating all developments from a historical perspective and is very pleasant to read. Both a rigorous theoretical approach and detailed practical recipes for bootstrapping and interpolation techniques are provided, in a coordinated fashion, using real market products. Advanced discussion of multiple curve dynamics, with specific modeling choices, is also given in the final part. From one of the originators and protagonists of the recent multiple curves literature, this is an appealing book for a potentially wide audience and is strongly recommended. Prof Damiano Brigo Dept of Mathematics, Imperial College London, and Director of the Capco institute, and Dr Andrea Pallavicini Imperial College London and Head of Equity, Fx and Commodities models, Banca IMI

As you have seen on the book's cover, Professor Chyng Wen Tee (Assistant Professor of Quantitative Finance, Singapore Management University) was kind enough to endorse the book. The endorsement printed on the back cover was not the full original text of the endorsement; the original endorsement was longer and would not have fit on the back cover. The full original text: As a quantitative finance practitioner-turned-academic, I read Dr. Henrard's Interest Rate Modelling in the Multi-curve Framework with great interest and excitement. Seven years after the onset of the infamous financial crisis that started in 2007, credible reference textbooks refurbishing our approach to interest rate modelling remain sparse, leading to a dichotomous gap between the interest rate models taught in a university and the interest rate models applied in practice. In the academic world, all too often the teaching of important concepts about time value of money, discounting and forwarding beco...

As you have seen on the book's cover, Professor Stéphane Crépey (Head of Probability and Mathematical Finance, University of Every, France) was kind enough to endorse the book. The endorsement printed on the back cover was not the full original text of the endorsement; it was a little bit longer and contained some comments to start a dialogue or debate on some philosophical questions about the multi-curve framework. The full original text: With his two seminal ''irony'' papers, Marc Henrard is one of the very first to have identified (and in fact, anticipated) the importance of the interest rate multi-curve tsunami that came in the aftermath of the global financial crisis. Quite logically, this is also the focus of his book, one of the very few of its kind. Indeed, "competitors" typically also (and mainly) deal with CVA, FVA and the likes, so that there is usually not much space left for the multi-curve issue per se. By contrast, Marc addresses the...

The picture used as background for this blog is also the one used on the book's cover. It may look like a set of greenish color bands, but it is more than that. The picture used on the cover is not the most important part of the book (if it is for you, maybe I have missed my goal writing the book). Nevertheless there is a small story behind it and I though it was worth sharing it. The initial book jacket proposal from the editor was not really to my taste. At the time the editor didn't want to change the collection cover. I made a couple of suggestions to change the small color square on the original design using some of the pictures in my personal library. A couple of weeks before the publication date for the book, to my surprise (and joy), the editor decided to change completely the design for the entire collection. For my book, which is the first with the new design, he used one of the pictures I had suggested, the one you can see on the blog background. The picture is sim...

A sample chapter, the table of content and the index of the book are now available on the Palgrave website. The sample chapter is the long introduction (10 pages); it is an introduction to the book but also to the history of the multi-curve framework. The book page on Palgrave site is: http://www.palgrave.com/products/title.aspx?pid=707837 The sample chapter can be found at: http://www.palgrave.com/resources/sample-chapters/9781137374653_sample.pdf

The first lines of the book were written in 2006. At the time the term multi-curve framework , which is used for the book's title, had not been coined and my idea was only to write a couple of pages for a note. In the mean time, August 2007 changed the course of writing on interest rate curve modelling for ever. Festina lente. Latin saying Personal translation: Haste slowly. The starting point of the reflection was my quest to answer the question `` What is the present value of a FRA? '' in a way that convinces me. The initial intend was a personal quest to understand the foundation of a fundamental, and in appearance simple, quantitative finance question. I could not find an answer in the literature satisfactory to me. The answers I could find were either `` it is trivial '', i.e. `` don't ask silly questions '', either a description of a replication argument for which it was not acceptable to discuss the numerous hidden hypothesis. Discussing th...